A decomposition of some serially-structured variance matrices

DOI10.1093/BIOMET/73.2.447zbMATH Open0608.62106OpenAlexW2061016128MaRDI QIDQ3747561

C. A. Glasbey

Publication date: 1986

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/73.2.447

zbMATH Keywords

decompositionstationary processCholesky decompositionautoregressive-moving average modelgeneralized ARMAlower triangular band matrixserially-structured variance matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Factorization of matrices (15A23)

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